Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0587
Annualized Std Dev 0.1759
Annualized Sharpe (Rf=0%) 0.3337

Row

Daily Return Statistics

Close
Observations 4849.0000
NAs 1.0000
Minimum -0.0948
Quartile 1 -0.0047
Median 0.0006
Arithmetic Mean 0.0003
Geometric Mean 0.0002
Quartile 3 0.0058
Maximum 0.1163
SE Mean 0.0002
LCL Mean (0.95) 0.0000
UCL Mean (0.95) 0.0006
Variance 0.0001
Stdev 0.0111
Skewness -0.1528
Kurtosis 10.4338

Downside Risk

Close
Semi Deviation 0.0080
Gain Deviation 0.0078
Loss Deviation 0.0086
Downside Deviation (MAR=210%) 0.0128
Downside Deviation (Rf=0%) 0.0079
Downside Deviation (0%) 0.0079
Maximum Drawdown 0.4281
Historical VaR (95%) -0.0165
Historical ES (95%) -0.0265
Modified VaR (95%) -0.0161
Modified ES (95%) -0.0240
From Trough To Depth Length To Trough Recovery
2007-05-08 2009-03-09 2012-08-15 -0.4281 1331 463 868
2001-11-23 2002-07-23 2005-05-04 -0.3201 853 153 700
2020-02-13 2020-03-23 2020-07-15 -0.2735 106 27 79
2015-08-06 2016-02-11 2017-10-04 -0.2043 546 131 415
2018-10-02 2018-12-24 2019-10-29 -0.1497 271 58 213

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2001 NA NA NA NA NA NA NA NA NA NA 0 -0.7 -0.8
2002 1.3 0.4 0.7 0.6 -1.1 -4.3 -0.5 -1.2 2.2 -0.3 -0.3 0.2 -2.5
2003 1.7 0.3 1.2 0.4 -0.2 0.7 -1.4 0.4 0.6 1.3 1.4 0.6 7.2
2004 -0.4 0.7 1.1 0.4 0.2 -0.7 0.9 0.1 0.2 -0.4 1.1 -0.6 2.6
2005 -0.4 1.5 0 1.7 0.8 0.3 0 1.1 0.1 -0.3 1 -0.6 5.4
2006 0.1 0.4 -0.1 -0.1 1.4 1.2 0.1 0.3 0 -0.4 -0.1 -0.4 2.4
2007 0.7 -0.7 -0.1 -0.1 0 -0.2 0.2 0.8 1.2 -1.2 0.7 -0.8 0.5
2008 0.4 -1.6 2.4 1.9 0.4 0.3 -0.3 -1 0.5 1.4 -5.3 1.6 0.4
2009 -0.4 -4.9 0.3 -0.7 1.2 0 0.1 -1.4 -1.8 -1.3 1.3 -0.3 -7.6
2010 0.7 0.5 0.5 -1 -0.9 -0.5 0.1 2.3 0.4 0 1.7 0 3.8
2011 2 -0.5 0.6 0.2 -1.4 1 -1 -0.5 -1.4 -2.2 -0.2 0 -3.4
2012 0.8 0.4 0.7 0.7 -2.2 2.2 0.1 0.5 1 0.7 -0.2 1.1 5.8
2013 0.7 0.6 -0.1 -1 -2.2 1 0.7 -0.7 0.7 0.3 0.2 -0.3 -0.2
2014 -1.1 0.1 0.1 0.6 0.1 1.1 -0.1 0.4 -0.9 0.5 0 -1 -0.2
2015 -1.5 -0.2 -0.6 1.1 0.3 0.6 0.5 -2.8 0.7 -0.3 1.5 -1.1 -1.9
2016 0.4 2.2 0.6 -1.1 0.3 0.7 0.5 -0.3 0.8 -0.4 -1 -0.1 2.4
2017 0.5 0.8 -0.3 0 1 -0.2 -0.2 0.2 0.7 0.3 -0.1 -0.5 2.2
2018 -0.3 -1.4 0.5 -0.4 1.2 0.5 0.1 -0.3 0.7 1.2 1.1 0.9 3.8
2019 0.2 1.2 0.3 -0.5 -0.7 0.4 0.5 0.3 -1.1 0.3 -0.3 0.2 0.7
2020 -1.8 -1.5 -3.7 -2 -0.3 0.5 -1.2 -0.6 -0.3 -0.5 0.9 0.8 -9.4
2021 0.6 1.4 0.4 NA NA NA NA NA NA NA NA NA 2.4

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl> <dbl>    <dbl>
1 2001-11-21  25.4 SPY    114. -0.0066 -0.0054    0.0471  -0.0232   -0.183       NA       NA <NA>     NA    NA       NA
2 2001-11-23  25.3 SPY    116.  0.0144  0.0071    0.065   -0.0182   -0.158       NA       NA <NA>     NA    NA       NA
3 2001-11-26  25.4 SPY    116.  0.0022  0.0137    0.0485   0.0009   -0.152       NA       NA <NA>     NA    NA       NA
4 2001-11-27  25.3 SPY    115. -0.0043 -0.00290   0.0463  -0.0136   -0.143       NA       NA <NA>     NA    NA       NA
5 2001-11-28  25.3 SPY    113. -0.0181 -0.0127    0.0548  -0.028    -0.163       NA       NA <NA>     NA    NA       NA
6 2001-12-03  25.3 SPY    113. -0.006  -0.0221    0.0448  -0.0275   -0.167       NA       NA <NA>     NA    NA       NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart